The volatility accuracy of several volatility forecast models is examined for the case of daily spot returns for the Mexican peso - US Dollar exchange rate. The models applied are univariate GARCH, a multi-variate GARCH (the BEKK model), option implied volatilities, and a composite forecast...

Emerging economies tend to experience larger political uncertainty and more default episodes than developed countries. This paper studies the effect of political uncertainty on sovereign default and interest rate spreads in emerging markets. The paper develops a quantitative model of sovereign...

Inflation forecasts of the Federal Reserve seem to have systematically under-predicted inflation from the fourth quarter of 1968 until Volcker's appointment as Chairman, and to systematically over-predict it afterwards until the second quarter of 1998. Furthermore, under quadratic loss,...

We analyze the issue of the impact of multiple breaks on monetary neutrality results, using a long annual international data set. We empirically verify whether neutrality propositions remain addressable (and if so, whether they hold or not), when unit root tests are carried out allowing for...

We use data from the Annual Industrial Survey for 1996-2003. First, we estimate production functions by means of growth accounting exercises and panel data econometrics for the whole sector and for 14 comprehensive groups. Various measures of Multifactor Productivity (MFP) are constructed, as we...

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...

We develop and estimate an affine model that characterizes the dynamics of the term structure of interest rates in Mexico. Moreover, we provide empirical evidence on the relationship between the term structure factors and macroeconomic variables. First, we show that the model fits the data...

This paper characterizes the behavior of debt and tax rates in a small open economy under both complete and incomplete markets. First, I show hat when the government follows an optimal fiscal policy and agents have access to complete markets, the value of the government’s debt portfolio is...

Emerging economies tend to experience larger fluctuations in their terms of trade, countercyclical interest rates and more default episodes than developed countries. These structural features might suggest a relevant role for world prices in driving country spreads. This paper studies the role...

When the log-price process incorporates a jump component, realised variance will no longer estimate the integrated variance since its probability limit will be determined by the continuous and jump components. Instead realised bipower variation, tripower variation and quadpower variation are...